Local Instrumental Variable (LIVE) Method For The Generalized Additive-Interactive Nonlinear Volatility Model
نویسنده
چکیده
In this article we consider a new separable nonparametric volatility model that includes second-order interaction terms in both mean and conditional variance functions. This is a very flexible non-parametric ARCH model that can potentially explain the behavior of the wide variety of financial assets. The model is estimated using the generalized version of the Local Instrumental Variable Estimation method (LIVE) first introduced in Kim and Linton (2004). This method is computationally more effective than most other nonparametric estimation methods that can potentially be used to estimate components of such a model. Asymptotic behavior of the resulting estimators is investigated and their asymptotic normality is established. Explicit expressions for asymptotic means and variances of these estimators are also obtained.
منابع مشابه
Modeling Stock Return Volatility Using Symmetric and Asymmetric Nonlinear State Space Models: Case of Tehran Stock Market
Volatility is a measure of uncertainty that plays a central role in financial theory, risk management, and pricing authority. Turbulence is the conditional variance of changes in asset prices that is not directly observable and is considered a hidden variable that is indirectly calculated using some approximations. To do this, two general approaches are presented in the literature of financial ...
متن کاملNLN-live, an application for live nonlinear and interactive instrumental music
NLN-live is a dynamic score system for nonlinear and interactive instrumental music performances, based on music technologies used in video games. The goal of NLN-live is to facilitate dynamically controlled collaborative performances that make live interactive video games music possible. The principle of NLN-live is simple: every musician of an ensemble repeatedly plays two fragments of music ...
متن کاملبهکارگیری مدل جمعیتعمیمیافته در تعیین نوع ارتباط عوامل خطر رتینوپاتی در بیماران دیابتی شهر تهران
Background : One of the most important complications of diabetes, is diabetic retinopathy that causes the blindness of 10,000 people every year. Different researches have been done on retinopathy risk factors in diabetic patients. This study was carried out to check the type of relationship between retinopathy risk factors and the condition of temptation it with generalized additive models. T...
متن کاملOriginal Contribution Economic Conditions and Suicide Rates in New York City
Extant analyses of the relation between economic conditions and population health were often based on annualized data and were susceptible to confounding by nonlinear time trends. In the present study, the authors used generalized additive models with nonparametric smoothing splines to examine the association between economic conditions, including levels of economic activity in New York State a...
متن کاملPartly parametric generalized additive model
In many scientific studies, the response variable bears a generalized nonlinear regression relationship with a certain covariate of interest, which may, however, be confounded by other covariates with unknown functional form. We propose a new class of models, the partly parametric generalized additive model (PPGAM) for doing generalized nonlinear regression with the confounding covariate effect...
متن کامل